I spent half a day figuring this one out.
When Windows9x or Me attempt to connect to anything outside, they do not allow the user to specify "username" on the remote system. (Me does not allow the user to specify password either). For example, if you're trying to connect from Windows 9x/Me to Mac and your Windows account is named "default", then your user account on the Mac must be named "default". If your windows account is called "MyName", the Mac account must be called "MyName". Again, for Me (at least), the password must also be the same between the Windows and Mac accounts.
BTW, I don't know much about Windows, but I finally found the solution at annoyances.org, a great site for troubleshooting Windows problems. (With oreilly links)